The Valve Job Postings Page has a listing for an Engineer Electronics Engineer that seems a pretty concrete confirmation of hot rumors that Valve is planning to develop hardware of some sort (thanks Engadget). Here's the introduction with the pertinent information speaking of "whole new gaming experiences.":

For years, Valve has been all about writing software that provides great gameplay experiences. Now we’re developing hardware to enhance those experiences, and you can be a key part of making that happen. Join our highly motivated team that’s doing hardware design, prototyping, testing, and production across a wide range of platforms. We’re not talking about me-too mice and gamepads here – help us invent whole new gaming experiences.

Anyone think that it might be something like peripherals and not a console?

They could also be launching their own custom PC business. There are a lot of things you can employ an Electrical Engineer for that doesn't automatically equate to "ZOMGWTFBBQ! CONSOLE?! WHARGBBLNERDRAGEFACE!"

Kind of worrisome. Having a console directly associated with Steam creates pressure toward making games that run on its hardware, however old or underpowered/"affordable" it may be. Why would a publisher want to put a game on Steam if all the console-only users could not run it?